An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
用模拟矩方法评估了多种时间不可分偏好形式的代表性消费者资产定价模型，发现消费的局部替代与长期习惯形成共同作用，且该模型在考虑抽样误差后符合Hansen-Jagannathan边界。
Using a Simulated Method of Moments approach, I evaluate a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several forms. Examining the model's implications for several moments of asset returns, I find evidence for the local substitution of consumption with habit formation occurring over longer periods of time. The interaction between these two effects is important. I also show that, when accounting for sampling error, a model with local substitution and long-run habit persistence is consistent with the Hansen and Jagannathan (1991) bounds.